Yoon, Jisu; Klasen, Stephan; Dreher, Axel; Krivobokova, … - Courant Research Centre PEG - 2015
In this paper, we compare Principal Component Analysis (PCA) and Partial Least Squares (PLS) methods to generate weights for composite indices. In this context we also consider various treatments of non-metric variables when constructing such composite indices. Using simulation studies we find...